spybot search and destroy has a nifty tool built in called teatimer that gives you a message every time a program tries to change your registry.
I believe combofix shall tell you any file created within the past few days! But if your not an experienced user you should NOT use combofix!!
Also a good suggestion, but I guess what I really need is a program that's running while I install another program.
For example: Program "A" would be keeping an eye on Program "B" to see what files and registry keys Program "B" is installing on my system.